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Warrants (Tables)
 9 Months Ended
Sep. 30, 2015
Warrants and Rights Note Disclosure [Abstract]  
Schedule of Warrant Activity
The following is a summary of warrant activity for the nine months ended September 30, 2015 (in thousands):
 
 
March 2015 Warrants
 
September
2013
Warrants
 
December
2012
Warrants
 
April 2011
Warrants
 
March
2011
Warrants
 
March
2010
Warrants
 
Consultant
and Oxford Warrants
 
Total
Outstanding, January 1, 2015
—

 
3,973

 
3,031

 
615

 
176

 
25

 
720

 
8,540

Issued
14,006

 
—

 
—

 
—

 
—

 
—

 
—

 
14,006

Expired
—

 
—

 
—

 
—

 
—

 
—

 
(238
)
 
(238
)
Outstanding, September 30, 2015
14,006

 
3,973

 
3,031

 
615

 
176

 
25

 
482

 
22,308

Expiration
March 2020
 
September 2018
 
December 2017
 
April 2017
 
March 2016
 
March 2016
 
Varies 2014-2020
 
 
Fair Value of Warrants is Estimated Using Black-Scholes Option Pricing Model
The fair value of the warrants is estimated using an appropriate pricing model with the following inputs:
 
 
As of September 30, 2015
 
March 2015 Warrants
 
September
2013
Warrants
 
December
2012
Warrants
 
April 2011
Warrants
 
March
2011
Warrants
 
March
2010
Warrants
Strike price
$
2.08

 
$
2.50

 
$
1.83

 
$
0.65

 
$
0.65

 
$
2.02

Expected term (years)
4.47

 
2.97

 
2.23

 
1.56

 
0.43

 
0.49

Volatility %
74.99
%
 
76.85
%
 
75.45
%
 
69.48
%
 
72.42
%
 
68.33
%
Risk-free rate %
1.25
%
 
0.91
%
 
0.70
%
 
0.50
%
 
0.06
%
 
0.08
%
 
 
As of December 31, 2014
 
September
2013
Warrants
 
December
2012
Warrants
 
April 2011
Warrants
 
March
2011
Warrants
 
March
2010
Warrants
Strike price
$
2.50

 
$
1.90

 
$
0.65

 
$
0.65

 
$
2.15

Expected term (years)
3.72

 
2.98

 
2.31

 
1.18

 
1.24

Volatility %
75.60
%
 
76.85
%
 
78.24
%
 
77.38
%
 
77.12
%
Risk-free rate %
1.30
%
 
1.09
%
 
0.80
%
 
0.32
%
 
0.35
%
Changes in Fair Value of Warrant Liability
The changes in fair value of the warrant liability for the nine months ended September 30, 2015 were as follows (in thousands):
 
 
March 2015 Warrants
 
September
2013
Warrants
 
December
2012
Warrants
 
April 2011
Warrants
 
March
2011
Warrants
 
March
2010
Warrants
 
Total
Warrant liability, January 1, 2015
$
—

 
$
2,560

 
$
2,027

 
$
625

 
$
163

 
$
8

 
$
5,383

Fair value of warrants issued
10,296

 
—

 
—

 
—

 
—

 
—

 
10,296

Change in fair value of warrants
1,313

 
(157
)
 
(162
)
 
(10
)
 
2

 
(4
)
 
982

Warrant liability, September 30, 2015
$
11,609

 
$
2,403

 
$
1,865

 
$
615

 
$
165

 
$
4

 
$
16,661